Penalization schemes for multi-valued stochastic differential equations

Jing Wu and Hua Zhang

Statistics & Probability Letters, 2013, vol. 83, issue 2, 481-492

Abstract: In this paper we study the penalization schemes for multi-valued stochastic differential equations driven by standard Brownian motions. Especially, we obtain the rate of the strong mean square convergence of the penalization schemes.

Keywords: Penalization scheme; Skorohod problem; Multi-valued stochastic differential equation; Convergence rate (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:2:p:481-492

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DOI: 10.1016/j.spl.2012.10.019

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